Capital requirements
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
Continued change and volatility impacting Solvency II reporting
The capital impacts of Covid-19 mean increased Solvency II monitoring and reporting challenges for insurers. This is occurring against a backdrop of continued regulatory change. Faced with the evolving challenges of Solvency II, Refinitiv highlights why…
NatWest reaps benefits of PRA’s market risk relief
Suspension of capital multiplier contributes to £1.5 billion of RWA savings
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
BNY Mellon strengthens capital stack
CET1 capital increased 9% quarter-on-quarter
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
At top US banks, stress test capital hit driven by dividends
Shareholder giveaways make up bulk of post-stress capital losses at JP Morgan, Morgan Stanley, Bank of America
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
Three systemic US banks face stress capital buffer add-ons
JP Morgan, Goldman Sachs, Morgan Stanley will see minimum requirements increase under new regime
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Fed’s Covid scenarios far harsher than latest stress tests
Under worst-case, 25% of banks would have post-stress CET1 ratios of less than 4.8%
Goldman faces high stress capital buffer after Fed tests
Bank projects 640bp peak-to-trough capital hit in DFAST
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios